Default and devaluation risks in Argentina: long-run and exogeneity in different systems
- Autores
- Ahumada, Hildegart; Garegnani, María Lorena
- Año de publicación
- 2000
- Idioma
- inglés
- Tipo de recurso
- documento de conferencia
- Estado
- versión publicada
- Descripción
- This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.
Facultad de Ciencias Económicas - Materia
-
Ciencias Económicas
devaluation risk
default risk - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by-nc-sa/4.0/
- Repositorio
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/170381
Ver los metadatos del registro completo
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Default and devaluation risks in Argentina: long-run and exogeneity in different systemsAhumada, HildegartGaregnani, María LorenaCiencias Económicasdevaluation riskdefault riskThis study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.Facultad de Ciencias Económicas2000info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionObjeto de conferenciahttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/170381enginfo:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2000/ahumada_garegnani.pdfinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:43:20Zoai:sedici.unlp.edu.ar:10915/170381Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:43:21.147SEDICI (UNLP) - Universidad Nacional de La Platafalse |
dc.title.none.fl_str_mv |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
title |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
spellingShingle |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems Ahumada, Hildegart Ciencias Económicas devaluation risk default risk |
title_short |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
title_full |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
title_fullStr |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
title_full_unstemmed |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
title_sort |
Default and devaluation risks in Argentina: long-run and exogeneity in different systems |
dc.creator.none.fl_str_mv |
Ahumada, Hildegart Garegnani, María Lorena |
author |
Ahumada, Hildegart |
author_facet |
Ahumada, Hildegart Garegnani, María Lorena |
author_role |
author |
author2 |
Garegnani, María Lorena |
author2_role |
author |
dc.subject.none.fl_str_mv |
Ciencias Económicas devaluation risk default risk |
topic |
Ciencias Económicas devaluation risk default risk |
dc.description.none.fl_txt_mv |
This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded. Facultad de Ciencias Económicas |
description |
This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded. |
publishDate |
2000 |
dc.date.none.fl_str_mv |
2000 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/conferenceObject info:eu-repo/semantics/publishedVersion Objeto de conferencia http://purl.org/coar/resource_type/c_5794 info:ar-repo/semantics/documentoDeConferencia |
format |
conferenceObject |
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publishedVersion |
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http://sedici.unlp.edu.ar/handle/10915/170381 |
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http://sedici.unlp.edu.ar/handle/10915/170381 |
dc.language.none.fl_str_mv |
eng |
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eng |
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info:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2000/ahumada_garegnani.pdf |
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info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) |
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openAccess |
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http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) |
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application/pdf |
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